Exact Expressions for Dependence Measures of Bivariate Extreme Value Copulas

Extreme value copulas are important because they model the dependence structure between extreme events, allowing for accurate risk assessment in fields such as finance, insurance, and environmental studies. In this paper, we derive exact expressions for four of the most popular dependence measures of bivariate extreme value copulas and check their correctness numerically. Over twenty families of bivariate extreme value copulas are considered.